Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (The Wiley Finance Series)

This book offers an in-depth and up-to-date review of different statistical tools that can be used to analyze and forecast the dynamics of two crucial for every energy company processes―electricity prices and loads. It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike preprocessing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk.

Modeling and Forecasting Electricity Loads and Prices is packaged with a CD containing both the data and detailed examples of implementation of different techniques in Matlab, with additional examples in SAS. A reader can retrace all the intermediate steps of a practical implementation of a model and test his understanding of the method and correctness of the computer code using the same input data.

The book will be of particular interest to the quants employed by the utilities, independent power generators and marketers, energy trading desks of the hedge funds and financial institutions, and the executives attending courses designed to help them to brush up on their technical skills. The text will be also of use to graduate students in electrical engineering, econometrics and finance wanting to get a grip on advanced statistical tools applied in this hot area. In fact, there are sixteen Case Studies in the book making it a self-contained tutorial to electricity load and price modeling and forecasting.

RAFAL WERON received his M.Sc. (1995) and Ph.D. (1999) degrees in applied mathematics from the Wroclaw University of Technology (WUT), Poland. He currently holds a position of Assistant Professor at WUT. His research focuses on risk management and forecasting in the power markets and computational statistics as applied to finance and insurance.
Rafal Weron is the co-author of three books and over 70 research articles, book chapters, and conference papers. His professional experience includes design of the risk management system for BOT Holding (BOT Górnictwo i Energetyka S.A.), development of insurance strategies for Polish Power Grid Co. (PSE S.A.) and Hydro-storage Power Plants Co. (ESP S.A.), as well as implementation of yield curve calibration and option pricing software for LUKAS Bank S.A. (Crédit Agricole Group). He has also been a consultant or executive teacher to a large number of banks and corporations.